Depends on the scene...
If you take 40 exposures on say a sunset, you are most likely wasting your time.
If you try to capture the interior of a church and a stained glass window, around 40-60 exposures (including overlap) are a guarantee for success.
You first need to judge the dynamic range of the scene in stops.
Next you decide whether you step up in 1/3, 1/2 or 2/3 stops or even full stops. Use AEB in whichever way you want to and shoot away.
Having said that, it is better to take too many exposures and to throw some out rather than take too few. Exposure overlap also isn't an issue as far as I can tell.
Because you ask about advantages/disadvantages:
More images = smaller differences = finer gradients.
Obviously you can also cover a greater dynamic range.
On the downside, you need more space and quite possibly more processing time with more images.
One last thing to remember is how many stops does your sensor cover without much noise. Generally you can expect about 8 stops out of a digital camera. (Even if you can push the shadows more and pull the highlights more, the image quality suffers - why do that in an HDR?) - Hence you would ideally want to have some good exposures of the darker parts of the scene - BUT overexposing too severely can lead to halos. (But you can throw some images out later if you want to.)